【摘要】 为丰富资产价格泡沫检验理论和正确使用泡沫检验模型,以固定窗宽滚动检验为基础,按照数据生成过程是否含有漂移项,分两种情况讨论单位根项和截距项检验量分布。理论研究表明,相关检验量在大样本下均收敛于维纳过程的泛函。为方便使用这些检验量,通过蒙特卡罗模拟获得有限样本容量下常用显著性水平下的临界值,模拟结果显示,临界值随样本容量增加而增加,随窗宽参数增加而下降。实证分析表明,为选择合适的检验模型,应以经典模型为基础,检验漂移项的取值,以便提高检验功效。更多还原

【Abstract】 To enrich the theory of asset price bubble detection and use the testing model in the empirical analysis correctly, based on the fixed rolling window mode, the statistic distribution of unit root and intercept are studied according to whether the data generation process contains drift terms.The theoretical results show that the related test statistics converge to the functional of Wiener process under large sample size. To facilitate the use of these test statistics, Monte Carlo simulation is used to obtain critic values for several significant levels commonly used in finite sample size. Simulation results show that these critic values increase with sample size and decrease with window parameters. Empirical analysis suggests that, based on the classical model, the intercept should be checked to determine whether it is zero or not to select the appropriate test model as well as to improve the test power.更多还原